threnody. (thren'uh dee) n. A song of lamentation; funeral song.You might also consider a threnody a kind of requiem.
It also serves as the title of one of Ralph Waldo Emerson'smost celebrated poems, about the tragic death of a child:
On that shaded day,
Dark with more clouds than tempests are,
When thou didst yield thy innocent breath
In birdlike heavings unto death,
Night came, and Nature had not thee;
I said, "We are mates in misery."